Reference : Transient Fokker-Planck Equation solved with SPH
Scientific congresses and symposiums : Paper published in a book
Engineering, computing & technology : Multidisciplinary, general & others
http://hdl.handle.net/2268/108445
Transient Fokker-Planck Equation solved with SPH
English
Canor, Thomas mailto [Université de Liège - ULg > Département ArGEnCo > Analyse sous actions aléatoires en génie civil >]
Denoël, Vincent mailto [Université de Liège - ULg > Département ArGEnCo > Analyse sous actions aléatoires en génie civil >]
2011
Proceedings of the 5th International Conference on Advanced Computational Methods in Engineering
No
International
978-2-9601143-1-7
Fifth International Conference on Advanced Computational Methods in Engineering - ACOMEN 2011
du 14 novembre 2011 au 17 novembre 2011
Université de Liège
Liège
Belgium
[en] Fokker-Planck equation ; Smoothed Particle Hydrodynamics ; Stochastic analysis ; Lagrangian method ; Meshless method
[en] In many engineering matters, systems are submitted to random excitations. Probabilistic theories
aim at describing the properties of a system by means of statistical properties such as probability
density function (pdf). For a deterministic system randomly excited, the evolution of its pdf
is commonly described with Fokker-Planck-Kolmogorov equation (FPK). The FPK equation is a
conservation equation of a hypothetical fluid, which represents physically the transport of probability. To solve this equation, Smoothed Particle Hydrodynamics (SPH) are used: the system is
modelled with a conservation equation for the system and a transport equation for each particle.
Numerical implementation shows the superiority of this method over many other mesh-based
methods: (i) the conservation of total probability in the state space is explicitly written, (ii) no
specific boundary conditions must be imposed if an adaptive smoothing length is chosen and if
particles are initially regularly spread out, (iii) the positivity of the pdf is ensured.
Furthermore, thanks to the moving particles, this method is adapted for a large kind of initial
conditions (quasi-deterministic or even discontinuous). The FPK equation can be solved without
any a priori knowledge of the stationary distribution; just a precise representation of the initial
distribution is required.
http://hdl.handle.net/2268/108445

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